Read,
There is no native "Archive" selection available on Calendar. IIRC there used to be an event retention selection available in the OS X iCal/Calendar Preferences, but that disappeared.
Besides making the selection on your mobile device which I previously mentioned, there is also a setting on iCloud.com>Calendar>Preferences...which looks like this:
As you can see, I have not checked Old Events "Hide events."
Events on my Calendar Application have been retained since I started to use iCal in 2004.
If you want to you can use Calendar>File>Export>Export...to save individual calendars, or use Calendar>File>Export>Calendar Archive...but the file(s) created will have limited use, and care must be taken if ever used to prevent overwriting current events. Reference: How to back up iCal calendar data - Apple Support.
There is an iCloud.com>Settings>Advanced>Restore Calendars and Reminders, but I do not know the retention period. Reference: iCloud: Restore your contacts, calendars and reminders, or bookmarks / If you accidentally deleted your calendars, reminders, or contacts from iCloud - Apple Support.
There are also some limits on the size of your Calendar data: iCloud: Limits for Contacts, Calendars, Reminders, and Bookmarks - Apple Support
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